Avalanche dynamics and trading friction effects on stock market returns

被引：57
|
作者：
Iori, G [1 ]
机构：
[1] Univ Essex, Dept Accounting Finance Management, Colchester CO4 3SQ, Essex, England
来源：
INTERNATIONAL JOURNAL OF MODERN PHYSICS C | 1999年 / 10卷 / 06期
关键词：
stock market models; volatility clustering; complex systems;
D O I：
10.1142/S0129183199000930
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. A generalized version of the Random Field Ising Model (RFIM) is introduced to describe trading behavior. Imitation effects, which induce agents to trade, can generate avalanches in trading volume and large gaps in demand and supply. A trade friction is introduced which, by responding to price movements, creates a feedback mechanism on future trading and generates volatility clustering.
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页码：1149 / 1162
页数：14
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